CONTAGION EFFECTS AND COLLATERALIZED CREDIT VALUE ADJUSTMENTS FOR CREDIT DEFAULT SWAPS

DOI10.1142/S0219024914500447zbMath1309.91144MaRDI QIDQ2941060

Lars Rösler, Rüdiger Frey

Publication date: 21 January 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

incomplete informationcontagioncredit default swapcollateralizationcounterparty credit riskbilateral credit value adjustment

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk

Cites Work

• Modelling default contagion using multivariate phase-type distributions
• Fundamentals of stochastic filtering
• Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
• A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• Unnamed Item

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